I loved how the game just ended with Lee's death. There wasn't really an epilogue or a viewpoint switch, which I liked. I'm dead, game over. Tah dah. I was expecting to play Clementine trying to escape the city and get back to the train. I also liked the fact there was no happy reunion with her parents. It's a zombie apocalypse; there are no happy endings.
Kenny's death was off-screen, so I certainly think it likely we might see him alive in Season 2. He might even be the protagonist. I'm glad cutting off my hand didn't actually cure me; I like to see such things end up being fruitless, it feels more real. I'm also curious what happened if you left Clementine's kidnapper alive; was there a conversation, or did he just spend the rest of the time unconscious?